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Contagion in futures metal markets during the recent global financial crisis : evidence from Gold, Silver, Copper, Zinc and Aluminium
Tsiaras, Konstantinos - In: Spoudai : journal of economics and business 70 (2020) 3/4, pp. 42-55
metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized …
Persistent link: https://www.econbiz.de/10012427825
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Analysis of Selected Seasonality Effects in the Following Metal Markets : Gold, Silver, Platinum, Palladium and Copper
Borowski, Krzysztof - 2015
.01.1997-31.12.2014. Calculations presented in this paper indicate the absence of the monthly effect on gold, silver, platinum, copper markets but …, the day-of-the week and weekend effects of the precious metal markets quoted on the London Metal Exchange for gold, silver … effect for any of the studied metal markets was not observed but the weekend effect was registered on the gold and copper …
Persistent link: https://www.econbiz.de/10013023830
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Metallstatistik
World Bureau of Metal Statistics; Metallgesellschaft; … - Ware : World Bureau of Metal Statistics; anfangs: … - 54.1957/1966(1967)-108.2011/2020 ; damit Erscheinen …
Persistent link: https://www.econbiz.de/10000350153
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Spillover effects of energy transition metals in Chile
Agnese, Pablo; Rios, Francisco - 2023
increasing demand for metals like copper and lithium due to the growth in renewable energies and electromobility, metal abundant … the causal relationships among these energy transition metals and other major assets like gold and bitcoin, and how they …
Persistent link: https://www.econbiz.de/10014230169
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Contagion in crude oil future market and 3Y, 4Y and 5Y CDS markets for the post-Global Financial Crisis : A multivariate GARCH-cDCC approach
Tsiaras, Konstantinos - 2021
This paper seeks to investigate the time-varying conditional correlations to the crude oil futures contract returns and the private Credit Default Swap market returns of Germany and France. We employ a dynamic conditional correlation (DCC) Generalized Auto Regressive Conditional...
Persistent link: https://www.econbiz.de/10013228882
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Forex and Equity Markets Spillover Effects Among USA, Brazil, Italy, Germany and Canada in the Aftermath of the Global Financial Crisis
Tsiaras, Konstantinos; Simos, Theodore - 2021
In this paper we investigate the spillover effects of FOREX and equity markets for USA, Brazil, Italy, Germany and Canada on the basis of daily data. We test for contagion co-movements for the period 2010-2018 post global financial crisis, using the trivariate AR-diagonal BEKK model. The...
Persistent link: https://www.econbiz.de/10013228332
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Financial Contagion and Volatility Spillover : an exploration into Bitcoin Future and FOREX Future Markets
Tsiaras, Konstantinos - 2021
This paper examines the time-varying conditional correlations between Bitcoin future market and five FOREX future markets. A sixvariate dynamic conditional correlation (DCC) GARCH model is applied in order to capture potential contagion effects between the markets for the period 2017-2019....
Persistent link: https://www.econbiz.de/10013228878
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Contagion in futures FOREX markets for the post-Global Financial Crisis : A multivariate FIGARCH-cDCC approach
Tsiaras, Konstantinos - 2021
This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We...
Persistent link: https://www.econbiz.de/10013228881
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010407524
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Contagion in futures metal markets during the recent global financial crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium
Tsiaras, Konstantinos - In: SPOUDAI - Journal of Economics and Business 70 (2020) 3/4, pp. 42-55
metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized …
Persistent link: https://www.econbiz.de/10014477241